Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1183
Annualized Std Dev 0.6055
Annualized Sharpe (Rf=0%) -0.1954

Row

Daily Return Statistics

Close
Observations 3557.0000
NAs 1.0000
Minimum -0.3795
Quartile 1 -0.0160
Median 0.0008
Arithmetic Mean 0.0002
Geometric Mean -0.0005
Quartile 3 0.0178
Maximum 0.3629
SE Mean 0.0006
LCL Mean (0.95) -0.0010
UCL Mean (0.95) 0.0015
Variance 0.0015
Stdev 0.0381
Skewness -0.1374
Kurtosis 12.7968

Downside Risk

Close
Semi Deviation 0.0274
Gain Deviation 0.0278
Loss Deviation 0.0296
Downside Deviation (MAR=210%) 0.0315
Downside Deviation (Rf=0%) 0.0273
Downside Deviation (0%) 0.0273
Maximum Drawdown 0.9736
Historical VaR (95%) -0.0567
Historical ES (95%) -0.0910
Modified VaR (95%) -0.0541
Modified ES (95%) -0.0621
From Trough To Depth Length To Trough Recovery
2008-05-21 2020-03-23 NA -0.9736 3231 2980 NA
2007-10-19 2008-02-06 2008-05-16 -0.3461 145 75 70
2007-07-20 2007-08-16 2007-09-20 -0.2448 44 20 24
2007-02-27 2007-03-05 2007-03-22 -0.1238 18 5 13
2007-06-19 2007-06-26 2007-07-09 -0.0916 14 6 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA -1.8 -2.7 0.7 2.1 0.7 0 1.6 2.9 -4.4 0.6 -2.4 -2.8
2008 2.2 -6.1 3.3 -5.1 1.1 0.9 -0.3 -1.8 -2.9 1.7 -19.8 2 -23.9
2009 -2.3 -4.8 4.5 4.9 7.3 0.2 1.3 -3.3 -6 -7.4 2.9 -1.7 -5.6
2010 5.9 1.8 3.4 -2.4 -8.7 -0.8 -0.5 7.4 2.4 0.6 5.5 0.3 14.7
2011 3.4 -3.5 0.7 3 -4.5 1.9 -0.1 -1.5 -5.5 -6.4 -1.1 -0.2 -13.6
2012 0.8 2 1.3 2.8 -4.6 6.4 1 1.7 1 1.1 -0.1 4.1 18.5
2013 1.8 -0.4 -0.2 -3 -4 1.4 2.4 -0.4 1.3 -0.8 -0.5 1.8 -0.8
2014 -2.8 1.2 1 -0.7 -1.2 0.2 -0.8 1.1 -3.9 3.8 0.8 -1.5 -3
2015 1.2 -0.6 0.4 0.4 -0.4 -2.8 -5.1 -7.5 0.3 1.5 1.5 0.9 -10.4
2016 -3.8 3.7 -3 -0.2 0.4 1.3 -6.8 -0.7 2.6 0.1 0.6 -0.2 -6.3
2017 -1.5 4.2 -0.5 -0.4 1.6 1 -0.1 1.9 0.3 2.4 1.8 -0.6 10.6
2018 2.2 -0.2 4 -1.2 0.7 1.4 -2.8 -1.5 2.7 1.8 -0.8 0.9 7.3
2019 3.4 3.7 2.5 -4.4 -3.3 0.4 -5 0 -4.7 4.9 -2 1 -4
2020 -6.1 2.6 -10 -11.4 3.2 -4.9 -1.1 -1.6 -6 0.9 0.8 -1.9 -31.1
2021 1.5 5.5 0.1 NA NA NA NA NA NA NA NA NA 7.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-01  711  SPY    145.  6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  0.006    0.0181
2 2007-02-02  724. SPY    145.  1.40e-3   0.0186   0.0243   0.0509    0.128    0.271    0.280 GLD    64.3 -0.0144   0.0028
3 2007-02-05  718  SPY    145.  3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3  0.0005   0.0085
4 2007-02-06  710. SPY    145.  3.00e-4   0.0147   0.031    0.0593    0.148    0.284    0.319 GLD    64.8  0.0075   0.0089
5 2007-02-07  726  SPY    145.  2.20e-3   0.0102   0.0285   0.0635    0.147    0.283    0.330 GLD    64.6 -0.0025  -0.0031
6 2007-02-08  721. SPY    145. -1.30e-3   0.0028   0.028    0.0503    0.156    0.267    0.334 GLD    65.5  0.0138   0.0046
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart